Alternative Random Matrix Approach in Analysis of Correlations in Financial Data

M. Sawa, D. Grech Institute of Theoretical Physics, University of Wrocław, Econophysics and Time Series Analysis Group (ETSA), pl. M. Borna 9, PL-50204 Wrocław, Poland

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We present an alternative method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on the properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. It is then qualitatively and quantitatively applied to financial data of stocks building WIG 30 - the main Warsaw Stock Exchange Index.

DOI: 10.12693/APhysPolA.127.A-118 PACS numbers: 05.45.Tp, 02.60.-x, 89.20.-a, 89.75.-k, 89.65.Gh, 89.75.Fb